location is incorrectly

Someone may be trying to sign your Apple ID, which would generate the request for a verification code. Since you have 2 Factor Authentication enabled, as long as they can't access one of your trusted devices, they can't get a code, and sign in. You should be okay. As suggested above, change your Apple ID password.

 Apple ID Password Change.   -  

ASC YouTube for How to reset your Apple ID password

 What to do after you change your Apple ID or password - Apple Support  -   I suggest doing this before you change your Apple ID or password.

Were you yourself trying to log in to an Apple service (such as this messaging board) at the time that you received the message? If yes, then you shouldn't worry about it. If no, you should.

The only way for this message to appear is if someone enters your Apple ID and correct password into the login screen of an Apple service. If it was not you, you must change your Apple ID's password immediately.

If it was you, you should not worry about the geographic error. When you try to log in to an Apple service, even from an iDevice with GPS, Apple does not know your GPS coordinates, only your IP address. The geographic location presented to you is Apple's best guess as to your location, based upon the registered location of the owner of that IP address, which is your ISP's switching center. In the case of a cable TV company or a cellular service company, they may back haul your service to a location near the target location (Apple) but far from you before passing your connection to the public internet. So, it is not unusual for the reported location to be 5 miles, or 500 miles, from your actual location.

The bottom line is that it is generally safe to allow the process if it is you who requested it.